4 papers
Exponential ergodicity of exact and numerical solutions for McKean-Vlasov SDEs driven by Lévy noise
Yang Sun, Yuhang Zhang, Minghui Song
This paper investigates the exponential ergodicity of the exact solution and the tamed Euler solution for McKean-Vlasov stochastic differential equations driven by Lévy noise. Fir…
Dimension-independent convergence rate of propagation of chaos and numerical analysis for McKean-Vlasov stochastic differential equations with coefficients nonlinearly dependent on measure
Yuhang Zhang, Minghui Song
In contrast to ordinary stochastic differential equations (SDEs), the numerical simulation of McKean-Vlasov stochastic differential equations (MV-SDEs) requires approximating the d…
Strong convergence of the adaptive Milstein method for nonlinear stochastic differential equations with piecewise continuous arguments
Yuhang Zhang, Minghui Song, Jiaqi Zhu
In this work, an adaptive time-stepping Milstein method is constructed for stochastic differential equations with piecewise continuous arguments (SDEPCAs), where the drift is one-s…
An adaptive Euler-Maruyama scheme for SDDEs
Dongyang Liu, Minghui Song, Yuhang Zhang
This paper proposes an adaptive numerical method for stochastic delay differential equations (SDDEs) with a non-global Lipschitz drift term and a non-constant delay, building upon…